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~subject:"Generalized hyperbolic distribution"
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Generalized hyperbolic distribution
CAC 40
35
France
10
CAC40
9
Frankreich
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investissements de portefeuille
9
non-résidents
9
taux de détention
9
non-residents
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Option pricing
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stock markets
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Portfolio selection
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Portfolio-Management
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marchés boursiers
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portfolio investments
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Aktienmarkt
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Foreign portfolio investment
5
Portfolio-Investition
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holding rate
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incomplete market
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option pricing
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Eigentümerstruktur
4
Minimal Entropy Martingale Measure
4
Ownership structure
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S&P 500
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ownership rate
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portfolio investment
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Capital mobility
3
Generalized Hyperbolic Distribution
3
Kapitalmobilität
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Marchés boursiers
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exponential affine stochastic discount factor
3
stock market
3
CAC-40
2
Comités exécutifs
2
DAX
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Direction d'entreprise
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Elite économique
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Enseignement supérieur
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English
1
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Chorro, Christophe
4
Guegan, Dominique
4
Ielpo, Florian
4
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
2
HAL
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Documents de travail du Centre d'Economie de la Sorbonne
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1
Option pricing for GARCH-type models with generalized hyperbolic innovations
Chorro, Christophe
;
Guegan, Dominique
;
Ielpo, Florian
-
HAL
-
2010
written on the French
CAC
40
and the American SP 500. Then, using our theoretical result associated with Monte Carlo …
Persistent link: https://www.econbiz.de/10010549117
Saved in:
2
Option pricing for GARCH-type models with generalized hyperbolic innovations.
Chorro, Christophe
;
Guegan, Dominique
;
Ielpo, Florian
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2010
written on the French
CAC
40
and the American SP 500. Then, using our theoretical result associated with Monte Carlo …
Persistent link: https://www.econbiz.de/10008622008
Saved in:
3
Martingalized historical approach for option pricing.
Chorro, Christophe
;
Guegan, Dominique
;
Ielpo, Florian
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2009
the affine stochastic discount factor and the empirical martingale correction methodologies. Using a
CAC
40
options …
Persistent link: https://www.econbiz.de/10005012516
Saved in:
4
Martingalized Historical approach for Option Pricing
Chorro, Christophe
;
Guegan, Dominique
;
Ielpo, Florian
-
HAL
-
2009
the affine stochastic discount factor and the empirical martingale correction methodologies. Using a
CAC
40
options …
Persistent link: https://www.econbiz.de/10010738694
Saved in:
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